Of the cosmological gamma-ray bursts, GRB 011121 has the lowest redshift, z=0.36. More importantly, the multicolor excess in the afterglow detected in the Hubble Space Telescope (HST) light curves is compelling observational evidence of an underlying supernova. Here we present near-infrared and radio observations of the afterglow, and from our comprehensive afterglow modeling, we find evidence favoring a wind-fed circumburst medium. Lacking X-ray data, we are unable to conclusively measure the mass-loss rate, M, but obtain an estimate, M~2×10-7/vw3 Msolar yr-1, where vw3 is the speed of the wind from the progenitor in units of 103 km s-1. This M is similar to that inferred for the progenitor of the Type Ibc supernova SN 1998bw that has been associated with the peculiar burst GRB 980425. Our data, taken in conjunction with the HST results of Bloom et al., provide a consistent picture: the long-duration GRB 011121 had a massive star progenitor that exploded as a supernova at about the same time as the gamma-ray burst event. Finally, we note that the gamma-ray profile of GRB 011121 is similar to that of GRB 980425